IMF Working Papers

Policy and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach

By Francis Vitek

October 30, 2014

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Francis Vitek. Policy and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach, (USA: International Monetary Fund, 2014) accessed November 21, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. A variety of monetary policy analysis, fiscal policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary and fiscal transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.

Subject: Central bank policy rate, Consumption, Dynamic stochastic general equilibrium models, Econometric analysis, Inflation, International trade, National accounts, Prices, Return on investment, Terms of trade

Keywords: Africa, Bayesian econometrics, Constant returns to scale, Consumption, Dynamic stochastic general equilibrium models, Financial asset, Fiscal policy analysis, Forecasting, Global, Inflation, Marginal revenue, Markup shock, Monetary policy analysis, Panel dynamic stochastic general equilibrium model, Phillips curve, Price inflation, Production function, Recipient economy, Return on investment, Risk premium shock, Shadow price, Spillover analysis, Stochastic process, Terms of trade, Utility function, World economy, WP

Publication Details

  • Pages:

    95

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2014/200

  • Stock No:

    WPIEA2014200

  • ISBN:

    9781616355784

  • ISSN:

    1018-5941